CodeForTraders

CodeForTraders

...writing great code so you don't have to

SwissVWAP for MC

Package:  SwissTrader's VWAP Indicator Package for MultiCharts

Accumulation and Distribution are processes that take place over time, with the transactions occurring at various prices throughout.  Sometimes price moves far on low volume.  The lack of interest can be telling of a coming reversion to the mean.  Sometimes price seems stuck in an area on high volume.  This can be a sign of real support or resistance to futher motion.  The volume weighted average price (VWAP) assigns and averages significance to each price level based on the volume which has taken place there.  The progression of the VWAP slows down and smooths out the jigs and jags of price action in a way that reflects the total interest of market participants at each price traded.

Advantages of VWAP

The relationship (above/below) of current price to the VWAP line itself clearly shows the current location and recent trending tendency.  The measured movement of price (either absolutely or statistically) relative to the VWAP line can be strongly suggestive of extremes which are unlikely to persist.

What It Looks Like

Here is a picture showing both the StdDev Bands version and the Profit Bands version of the indicator:

Weekly PftBands vs StdDev Bands

These provide two separate measured ways to judge price behavior relative to the VWAP.  The displays may be interpreted either from a breakout point-of-view or from a reversion point-of-view.

Here is a picture showing just the VWAP line, resetting on session change on the left and resetting at midnight (date change) on the right:

Session vs Midnight

Either choice of reset point could be desirable, depending on the reference point you prefer.

Here is a picture showing separate (on the left) treatment of Sunday (shown as yellow bars) compared to accumulating the Sunday action on into Monday (on the right):

Sunday vs No Sunday

As the pictures above show, SwissTrader's VWAP offers a high level of configuration flexibility to match your visualization needs.

How It Works

Price and volume action is monitored at the base-interval level by a function which calculates the core VWAP.

Four separate indicators which call the function are provided, each one offering further calculations (the bands) and specific display capabilities.

The 4 indicators are:

bullet Daily VWAP with StdDev Bands
bullet Daily VWAP with Profit Bands
bullet Weekly VWAP with StdDev Bands
bullet Weekly VWAP with Profit Bands

Features

bullet Indicators allow VWAP calculation to restart based on either dates (midnight) or sessions
bullet Indicators allow VWAP from Sunday night (the week's start) to be rolled into Monday
bullet Indicators allow VWAP plotting to be rounded to tick increments
bullet Indicators optionally show 8 Profit bands or 8 StdDev bands around VWAP (4 above, 4 below)

What You Get

Closed code version  - 

The four indicators and all underlying functions delivered as a .SEF  file, locked to your MultiCharts UserID.

Multiple demo workspaces to assist you in getting started.

Customer Support as needed to get it all running.

Open code version -

As above, but with all indicators and underlying functions delivered as an open-code .PLA file. 

 Because the indicators are open-source, you can alter them or use them as guides to write your own variations if you choose.  You could also take advantage of seeing how everything is done in order to adapt the VWAP and/or VWAP bands for use in an automated strategy.

 Compatibility

The closed-code version of this package is compatible ONLY with versions of MultiCharts distributed via direct download from the TSSupport web site.  Unfortunately, for technical reasons, the closed code version of this package IS NOT COMPATIBLE with separate versions of MultiCharts distributed by other means (e.g. other national or regional resellers, etc.).

The open-code version of this package is compatible with all versions of Multicharts.  Simply import, compile and run.

What It Costs

$300 for the closed code version.

SwissTrader's VWAP Indicator Package for MultiCharts (closed code) -  $300 

 

$500 for the open code version.

SwissTrader's VWAP Indicator Package for MultiCharts (open code) -  $500 

How You Get It

Click on one of the small 'Buy Now' buttons above and complete your payment via PayPal.

The package will be emailed to you after your PayPal payment is processed.
Please be aware of the caveats before you order.